شماره ركورد كنفرانس
5263
عنوان مقاله
Application of multiobjective particle swarm optimization approach in robust portfolio optimization
پديدآورندگان
Shahbeyk Shokouh sh_shahbeyk@atu.ac.ir Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran . , Morteza Mehran mehranmorteza@outlook.com Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran .
تعداد صفحه
4
كليدواژه
Portfolio Optimization , Robustness , Multiobjective particle swarm optimization
سال انتشار
1402
عنوان كنفرانس
54 امين كنفرانس رياضي ايران
زبان مدرك
انگليسي
چكيده فارسي
In this paper, we define two concepts of robust efficiency solutions for multiobjective optimization problem with uncertainties. Furthermore, the multiobjective particle swarm optimization approach is used to find these solutions of mean-variance portfolio optimization problem with ellipsoid uncertainty set in the real stock market and compared them to each other. Finally, the increase and decrease effects of uncertainty set parameters on these robust efficient solutions are verified.
كشور
ايران
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